open the xfce4 settings editor
from the menu (not the settings manager)
In the left panel, named Channel, click on the "keyboards" entry
In the right panel click the plus sign next to the Default property.
You should see a Numlock property - the value here needs to be "TRUE"
if it isn't double click the word TRUE and a dialog bog will appear.
Click the "enabled" check box to put a check mark in it and then click save.
It should now read "TRUE" (you may have to click the plus sign again to see this).
You will have to log out or reboot for it to work - can't remember which, can't check right now.